A single sample path-based performance sensitivity formula for Markov chains

被引：20

作者：

Cao, XR

Yuan, XM

Qiu, L

机构：

[1] Hong Kong University of Science and Technology, Kowloon, Clear Water Bay

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1996年 / 41卷 / 12期

关键词：

D O I：

10.1109/9.545747

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Using a sample path approach, we derive a new formula for performance sensitivities of discrete-time Markov chains, A distinguished feature of this formula is that the quantities involved can be estimated by analyzing a single sample path of a Markov chain, Thus, the formula provides a new direction for sensitivity analysis and can be viewed as an extension of the perturbation realization theory to problems where infinitesimal perturbation analysis does not work well.

引用

页码：1814 / 1817

页数：4